AGF AS (Denmark) Market Value
| AGF-B Stock | DKK 0.63 0.01 1.56% |
| Symbol | AGF |
AGF AS 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to AGF AS's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of AGF AS.
| 03/30/2024 |
| 04/29/2024 |
If you would invest 0.00 in AGF AS on March 30, 2024 and sell it all today you would earn a total of 0.00 from holding AGF AS or generate 0.0% return on investment in AGF AS over 30 days. AGF AS is related to or competes with PARKEN Sport, Broendbyernes, Silkeborg. The Football segment offers football matches shown on TV, sponsorships, transfers of football players, football matches,... More
AGF AS Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure AGF AS's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess AGF AS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.74 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 6.2 | |||
| Value At Risk | (1.59) | |||
| Potential Upside | 1.61 |
AGF AS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AGF AS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AGF AS's standard deviation. In reality, there are many statistical measures that can use AGF AS historical prices to predict the future AGF AS's volatility.| Risk Adjusted Performance | 0.009 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (0.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of AGF AS's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
AGF AS Backtested Returns
We consider AGF AS very risky. AGF AS secures Sharpe Ratio (or Efficiency) of 0.0271, which signifies that the company had a 0.0271% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for AGF AS, which you can use to evaluate the volatility of the firm. Please confirm AGF AS's Mean Deviation of 0.9127, risk adjusted performance of 0.009, and Downside Deviation of 1.74 to double-check if the risk estimate we provide is consistent with the expected return of 0.0332%. AGF AS has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.18, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AGF AS's returns are expected to increase less than the market. However, during the bear market, the loss of holding AGF AS is expected to be smaller as well. AGF AS at this moment shows a risk of 1.23%. Please confirm AGF AS mean deviation, downside deviation, standard deviation, as well as the relationship between the semi deviation and coefficient of variation , to decide if AGF AS will be following its price patterns.
Auto-correlation | -0.61 |
Very good reverse predictability
AGF AS has very good reverse predictability. Overlapping area represents the amount of predictability between AGF AS time series from 30th of March 2024 to 14th of April 2024 and 14th of April 2024 to 29th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of AGF AS price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current AGF AS price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.61 | |
| Spearman Rank Test | 0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
AGF AS lagged returns against current returns
Autocorrelation, which is AGF AS stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting AGF AS's stock expected returns. We can calculate the autocorrelation of AGF AS returns to help us make a trade decision. For example, suppose you find that AGF AS has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
AGF AS regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If AGF AS stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AGF AS stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AGF AS stock over time.
Current vs Lagged Prices |
| Timeline |
AGF AS Lagged Returns
When evaluating AGF AS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AGF AS stock have on its future price. AGF AS autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, AGF AS autocorrelation shows the relationship between AGF AS stock current value and its past values and can show if there is a momentum factor associated with investing in AGF AS.
Regressed Prices |
| Timeline |
Pair Trading with AGF AS
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if AGF AS position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in AGF AS will appreciate offsetting losses from the drop in the long position's value.Moving against AGF Stock
| 0.56 | MAERSK-A | AP Mller | PairCorr |
| 0.56 | MAERSK-B | AP Mller Earnings Call This Week | PairCorr |
The ability to find closely correlated positions to AGF AS could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AGF AS when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back AGF AS - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling AGF AS to buy it.
The correlation of AGF AS is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as AGF AS moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AGF AS moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for AGF AS can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out AGF AS Correlation, AGF AS Volatility and AGF AS Alpha and Beta module to complement your research on AGF AS. Note that the AGF AS information on this page should be used as a complementary analysis to other AGF AS's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
Complementary Tools for AGF Stock analysis
When running AGF AS's price analysis, check to measure AGF AS's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy AGF AS is operating at the current time. Most of AGF AS's value examination focuses on studying past and present price action to predict the probability of AGF AS's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AGF AS's price. Additionally, you may evaluate how the addition of AGF AS to your portfolios can decrease your overall portfolio volatility.
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AGF AS technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.